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題名 台灣壽險業新一代清償能力制度下資產配置與監理措施分析
An Analysis of Asset Allocation and Regulatory Interventions under Taiwan’s New Solvency Framework for Life Insurers作者 葉永濬
Yeh, Yung-Chun貢獻者 張士傑<br>曾毓英
Chang, Shih-Chieh<br>Tzeng, Yu-Ying
葉永濬
Yeh, Yung-Chun關鍵詞 清償能力制度
壽險資產配置
監理干預
ICS
效用最大化
Solvency regime
Life insurance asset allocation
Regulatory intervention
Insurance capital standard (ICS)
Utility maximization日期 2025 上傳時間 4-Aug-2025 14:10:49 (UTC+8) 摘要 台灣金融監理機關將於2026年實施新一代保險清償能力監理制度（TW-ICS），引進經濟基礎之資本適足監理架構，此項制度將要求壽險公司重新調整其資本結構與資產配置策略，以符合新的風險資本計提與資本限制規範。然而，TW-ICS在嚴格約束資本配置與風險承擔能力時，亦可能影響保單持有人效用。本研究評估TW-ICS導入對台灣壽險業資產配置與監理干預措施之影響，並檢視新制度是否能有效提升保戶效用與監理效率。 本研究納入國際風險資產配置並修正負債評價假設，使模型更符合TW-ICS對資產負債評價的一致性原則，並建構符合ICS規範的動態資本限制模型，以模擬保險公司在多期監理條件下的資本調整行為，最後透過數值模擬，分析不同監理干預策略對保單持有人等值效用的影響，模擬結果顯示，若同時實施「限縮風險性資產配置」與「增提資本」之干預措施，將有助於提升保單持有人於契約終期的等值效用，呈現出正向監理成效。然而，當資本適足比率要求過於嚴格時，將降低效用提升幅度，顯示監理干預的邊際效益存在遞減現象。
Taiwan's financial supervisory authorities are set to implement a new generation of insurance solvency regulation—the Taiwan Insurance Capital Standard (TW-ICS) in 2026. This framework introduces an economic-based capital adequacy supervision mechanism, requiring life insurance companies to restructure their capital composition and revise their asset allocation strategies in accordance with updated risk capital requirements and capital constraint rules. However, while TW-ICS imposes stringent constraints on capital deployment and risk-taking capacity, it may also influence policyholder utility. This study assesses the impact of TW-ICS implementation on asset allocation and regulatory intervention measures in Taiwan’s life insurance industry, and further evaluates whether the new regime effectively enhances policyholder utility and supervisory efficiency. The research incorporates international risk asset allocations and refines liability valuation assumptions to better align with TW-ICS’s principle of asset-liability valuation consistency. A dynamic capital constraint model, compliant with ICS standards, is constructed to simulate insurers’ capital adjustment behavior under multi-period regulatory constraints. Through numerical simulations, the study analyzes how different supervisory intervention strategies affect the certainty-equivalent utility of policyholders. Results indicate that implementing both “constraints on risk asset allocation” and “capital reinforcement measures” simultaneously can improve policyholder utility at contract maturity, demonstrating positive regulatory effectiveness. Nevertheless, when capital adequacy thresholds become excessively stringent, the magnitude of utility gains diminishes, revealing a diminishing marginal return to regulatory interventions.參考文獻 一、中文文獻 鄭志明 (2017)，壽險公司風險基礎資本與經濟資本分析，保險雜誌，第34卷第4期，頁 12–28。 孟欣樺 (2022)，壽險業資本監理及監管干預之有效性分析，國立政治大學風險管理與保險學系碩士論文。 邱雲淯 (2024)，台灣壽險業風險資本制度與財務槓桿之比較分析，國立政治大學風險管理與保險學系碩士論文。 政府資料開放平臺，普通債發行資料下載，擷取自https://data.gov.tw/dataset/114 05，最後瀏覽日期：2025年4月30日。 財團法人保險事業發展中心，保險財務業務統計，擷取自 https://www.tii.org.tw/ tii/information/information1/，最後瀏覽日期：2025年4月30日。 金融監督管理委員會新聞稿. (2023年7月25日). 我國保險業接軌新一代清償能力制度中市場風險-股票、不動產、公共建設之在地化及過渡性措施。擷取自 https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202307250003&dtable=News 金融監督管理委員會新聞稿. (2023年11月23日). 我國保險業接軌「保險合約」(IFRS17)利率轉換措施及「保險業新一代清償能力制度」(TW-ICS)第二階段過渡性措施。擷取自 https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202311230002&dtable=News 金融監督管理委員會新聞稿. (2024年4月16日). 我國保險業接軌「新一代清償能力制度」(TW-ICS)第三階段在地化及過渡性措施，及差異化管理措施。擷取自https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202404160001&dtable=News 金融監督管理委員會新聞稿. (2024年12月31日). 我國保險業實施「新一代清償能力制度」第四階段在地化及過渡性調適措施。擷取自https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202412310002&toolsflag=Y&dtable=News 二、外文文獻 Babbel, D. F., and Merrill, C. (1999). Toward a unified valuation model for life insurers. In J. D. Cummins & A. M. Santomero (Eds.), Changes in the life insurance industry: Efficiency, technology and risk management , 245–278. Braun, A., Rymaszewski, P., and Schmeiser, H. (2011). Traffic light options. Insurance: Mathematics and Economics, 49(1), 99–114. Briys, E., and de Varenne, F. (1994). Valuation of insurance liabilities. Financial Management, 23(4), 71–83. Briys, E., and de Varenne, F. (1997). On the risk of insurance liabilities: Debunking some common pitfalls. Journal of Risk and Insurance, 64(4), 673–694. Chang, S. C., Lee, Y. K., Hsuan, W., and Tu, C.Y. (2019). Allocating overseas: Risk assessment of currency hedging in Taiwan life insurance industry. Asia-Pacific Journal of Risk and Insurance, 13(1), Article 20180015. Chang, S.C., and Lee, Y.K. (2020). Currency uncertainty, interest guarantee, and risk based premiums in life Insurance guaranty schemes. Asia-Pacific Journal of Risk and Insurance, 14(2). Chang, S. C. , Hsuan, W., Lee, Y. K., and Tzeng, Y. Y. (2024). Evaluating the efficiency of capital enhancement and investment constraints in life insurance supervision. Asia-Pacific Journal of Risk and Insurance, 2024, 1–27 Chang, S.C., and Tu, C.Y. (2021). Selecting optimal insurance regulatory schemes: The expected utility approach, Working Paper. Chen, A., and Hieber, P. (2016). Distorted rules versus optimal risk sharing in insurance regulation. Insurance: Mathematics and Economics, 69, 1–13. Chen, A., Hieber, P., and Lämmlein, J. (2020). Regulatory interventions and policyholder welfare in life insurance. Journal of Risk and Insurance, 87(4), 849–882. Consiglio, A., Saunders, D., and Zenios, S. A. (2006). Managing goodwill in life insurance: An optimal investment policy. Journal of Risk and Insurance, 73(1), 43–71. Cummins, J. D., and Weiss, M. A. (2014). Systemic risk and the U.S. insurance sector. Journal of Risk and Insurance, 81(3), 489–528. Døskeland, T. M., and Nordahl, H. A. (2008). Optimal guarantees for long-term insurance contracts. Journal of Risk and Insurance, 75(4), 1009–1034. Eling, M., and Pankoke, D. (2016). Systemic risk in the insurance sector: A review and directions for future research. Risk Management and Insurance Review, 19(2), 249–284. European Commission. (n.d.). Solvency I Directive. Retrieved from https://ec.europa.eu European Insurance and Occupational Pensions Authority (EIOPA). (2021). Solvency II: The EU framework for insurance supervision. Retrieved from https://www.eiopa.europa.eu Filipović, D., Kremslehner, R., and Muermann, A. (2015). Optimal investment and premium policies under regulatory constraints. Insurance: Mathematics and Economics, 64, 217–227. Fischer, K., and Schlütter, S. (2015). Optimal investment strategies for insurance companies when capital requirements are imposed by a standard formula. The Geneva Risk and Insurance Review, 40(1), 15–40. Froot, K. A. (2007). Risk management, capital budgeting, and capital structure policy for insurers and reinsurers. Journal of Risk and Insurance, 74(2), 273–299. Granger, C. W. J., Huang, B.-N., and Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu. The Quarterly Review of Economics and Finance, 40(3), 337–354. Hardy, M. R., and Panjer, H. H. (2019). Risk-based capital modeling for insurers. Cambridge University Press. Hwang, Y.W., Chang, S.C., and Wu, Y.C. (2015). Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty. North American Actuarial Journal, 19(2), pp. 94-115. IAIS. (2019, 1). Level 1 Document: ICS Version 2.0 for the monitoring period IAIS. (2019, 1). Level 2 Document: ICS Version 2.0 for the monitoring period IAIS. (2023, 6). Insurance Capital Standard as a Prescribed Capital Requirement. IAIS. (2024, 1). Public 2024 ICS Data Collection Technical Specifications. Jensen, B. A., and Sørensen, C. (2001). Payoffs on life insurance contracts and the impact of minimum guarantees. European Financial Management, 7(3), 373–396. Jørgensen, P. L. (2007). Traffic light options. Scandinavian Actuarial Journal, 2007(2), 126–155. MacMinn, R. D., and Witt, R. C. (1987). Agency theory and the financial structure of life insurance companies. Journal of Risk and Insurance, 54(1), 190–207. National Association of Insurance Commissioners (NAIC). (n.d.). Risk-based capital overview. Retrieved from https://www.naic.org Tu, C.-Y., & Chang, S.-C. (2022). Optimal insurance solvency regulatory schemes under the early warning system. Taiwan Banking Quarterly, 73(4), 18–38. Yang, S. Y., Hwang, Y. W., and Chang, S. C. (2012). The bankruptcy cost of the life insurance industry under regulatory forbearance: An embedded option approach. North American Actuarial Journal, 16(4), 513–523. 描述 碩士
國立政治大學
風險管理與保險學系
112358014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112358014 資料類型 thesis dc.contributor.advisor 張士傑<br>曾毓英 zh_TW dc.contributor.advisor Chang, Shih-Chieh<br>Tzeng, Yu-Ying en_US dc.contributor.author (Authors) 葉永濬 zh_TW dc.contributor.author (Authors) Yeh, Yung-Chun en_US dc.creator (作者) 葉永濬 zh_TW dc.creator (作者) Yeh, Yung-Chun en_US dc.date (日期) 2025 en_US dc.date.accessioned 4-Aug-2025 14:10:49 (UTC+8) - dc.date.available 4-Aug-2025 14:10:49 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2025 14:10:49 (UTC+8) - dc.identifier (Other Identifiers) G0112358014 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158517 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險學系 zh_TW dc.description (描述) 112358014 zh_TW dc.description.abstract (摘要) 台灣金融監理機關將於2026年實施新一代保險清償能力監理制度（TW-ICS），引進經濟基礎之資本適足監理架構，此項制度將要求壽險公司重新調整其資本結構與資產配置策略，以符合新的風險資本計提與資本限制規範。然而，TW-ICS在嚴格約束資本配置與風險承擔能力時，亦可能影響保單持有人效用。本研究評估TW-ICS導入對台灣壽險業資產配置與監理干預措施之影響，並檢視新制度是否能有效提升保戶效用與監理效率。 本研究納入國際風險資產配置並修正負債評價假設，使模型更符合TW-ICS對資產負債評價的一致性原則，並建構符合ICS規範的動態資本限制模型，以模擬保險公司在多期監理條件下的資本調整行為，最後透過數值模擬，分析不同監理干預策略對保單持有人等值效用的影響，模擬結果顯示，若同時實施「限縮風險性資產配置」與「增提資本」之干預措施，將有助於提升保單持有人於契約終期的等值效用，呈現出正向監理成效。然而，當資本適足比率要求過於嚴格時，將降低效用提升幅度，顯示監理干預的邊際效益存在遞減現象。 zh_TW dc.description.abstract (摘要) Taiwan's financial supervisory authorities are set to implement a new generation of insurance solvency regulation—the Taiwan Insurance Capital Standard (TW-ICS) in 2026. This framework introduces an economic-based capital adequacy supervision mechanism, requiring life insurance companies to restructure their capital composition and revise their asset allocation strategies in accordance with updated risk capital requirements and capital constraint rules. However, while TW-ICS imposes stringent constraints on capital deployment and risk-taking capacity, it may also influence policyholder utility. This study assesses the impact of TW-ICS implementation on asset allocation and regulatory intervention measures in Taiwan’s life insurance industry, and further evaluates whether the new regime effectively enhances policyholder utility and supervisory efficiency. The research incorporates international risk asset allocations and refines liability valuation assumptions to better align with TW-ICS’s principle of asset-liability valuation consistency. A dynamic capital constraint model, compliant with ICS standards, is constructed to simulate insurers’ capital adjustment behavior under multi-period regulatory constraints. Through numerical simulations, the study analyzes how different supervisory intervention strategies affect the certainty-equivalent utility of policyholders. Results indicate that implementing both “constraints on risk asset allocation” and “capital reinforcement measures” simultaneously can improve policyholder utility at contract maturity, demonstrating positive regulatory effectiveness. Nevertheless, when capital adequacy thresholds become excessively stringent, the magnitude of utility gains diminishes, revealing a diminishing marginal return to regulatory interventions. en_US dc.description.tableofcontents 第壹章、 緒論 1 第一節、 研究動機 1 第二節、 文獻探討 5 第貳章、 保險業清償能力監理制度 8 第一節、 保險業清償能力制度的演進 8 第二節、 國際保險資本標準（ICS） 10 第三節、 2024 ICS 制度之更動項目 13 第四節、 實施ICS對台灣壽險業的影響 18 第參章、 模型架構 22 第一節、 壽險公司資產負債結構 22 第二節、 ICS監理限制模型 25 第三節、 監理干預架構 28 第四節、 最佳化問題之模型 32 第肆章、 數值分析 37 第一節、 參數設定 37 第二節、 監理限制式結果 40 第三節、 監理干預模型結果 45 第伍章、 結論與建議 52 參考文獻 54 zh_TW dc.format.extent 2510565 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112358014 en_US dc.subject (關鍵詞) 清償能力制度 zh_TW dc.subject (關鍵詞) 壽險資產配置 zh_TW dc.subject (關鍵詞) 監理干預 zh_TW dc.subject (關鍵詞) ICS zh_TW dc.subject (關鍵詞) 效用最大化 zh_TW dc.subject (關鍵詞) Solvency regime en_US dc.subject (關鍵詞) Life insurance asset allocation en_US dc.subject (關鍵詞) Regulatory intervention en_US dc.subject (關鍵詞) Insurance capital standard (ICS) en_US dc.subject (關鍵詞) Utility maximization en_US dc.title (題名) 台灣壽險業新一代清償能力制度下資產配置與監理措施分析 zh_TW dc.title (題名) An Analysis of Asset Allocation and Regulatory Interventions under Taiwan’s New Solvency Framework for Life Insurers en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文文獻 鄭志明 (2017)，壽險公司風險基礎資本與經濟資本分析，保險雜誌，第34卷第4期，頁 12–28。 孟欣樺 (2022)，壽險業資本監理及監管干預之有效性分析，國立政治大學風險管理與保險學系碩士論文。 邱雲淯 (2024)，台灣壽險業風險資本制度與財務槓桿之比較分析，國立政治大學風險管理與保險學系碩士論文。 政府資料開放平臺，普通債發行資料下載，擷取自https://data.gov.tw/dataset/114 05，最後瀏覽日期：2025年4月30日。 財團法人保險事業發展中心，保險財務業務統計，擷取自 https://www.tii.org.tw/ tii/information/information1/，最後瀏覽日期：2025年4月30日。 金融監督管理委員會新聞稿. (2023年7月25日). 我國保險業接軌新一代清償能力制度中市場風險-股票、不動產、公共建設之在地化及過渡性措施。擷取自 https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202307250003&dtable=News 金融監督管理委員會新聞稿. (2023年11月23日). 我國保險業接軌「保險合約」(IFRS17)利率轉換措施及「保險業新一代清償能力制度」(TW-ICS)第二階段過渡性措施。擷取自 https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202311230002&dtable=News 金融監督管理委員會新聞稿. (2024年4月16日). 我國保險業接軌「新一代清償能力制度」(TW-ICS)第三階段在地化及過渡性措施，及差異化管理措施。擷取自https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202404160001&dtable=News 金融監督管理委員會新聞稿. (2024年12月31日). 我國保險業實施「新一代清償能力制度」第四階段在地化及過渡性調適措施。擷取自https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202412310002&toolsflag=Y&dtable=News 二、外文文獻 Babbel, D. F., and Merrill, C. (1999). Toward a unified valuation model for life insurers. In J. D. Cummins & A. M. Santomero (Eds.), Changes in the life insurance industry: Efficiency, technology and risk management , 245–278. Braun, A., Rymaszewski, P., and Schmeiser, H. (2011). Traffic light options. Insurance: Mathematics and Economics, 49(1), 99–114. Briys, E., and de Varenne, F. (1994). Valuation of insurance liabilities. Financial Management, 23(4), 71–83. Briys, E., and de Varenne, F. (1997). On the risk of insurance liabilities: Debunking some common pitfalls. Journal of Risk and Insurance, 64(4), 673–694. Chang, S. C., Lee, Y. K., Hsuan, W., and Tu, C.Y. (2019). Allocating overseas: Risk assessment of currency hedging in Taiwan life insurance industry. Asia-Pacific Journal of Risk and Insurance, 13(1), Article 20180015. Chang, S.C., and Lee, Y.K. (2020). Currency uncertainty, interest guarantee, and risk based premiums in life Insurance guaranty schemes. Asia-Pacific Journal of Risk and Insurance, 14(2). Chang, S. C. , Hsuan, W., Lee, Y. K., and Tzeng, Y. Y. (2024). Evaluating the efficiency of capital enhancement and investment constraints in life insurance supervision. Asia-Pacific Journal of Risk and Insurance, 2024, 1–27 Chang, S.C., and Tu, C.Y. (2021). Selecting optimal insurance regulatory schemes: The expected utility approach, Working Paper. Chen, A., and Hieber, P. (2016). Distorted rules versus optimal risk sharing in insurance regulation. Insurance: Mathematics and Economics, 69, 1–13. Chen, A., Hieber, P., and Lämmlein, J. (2020). Regulatory interventions and policyholder welfare in life insurance. Journal of Risk and Insurance, 87(4), 849–882. Consiglio, A., Saunders, D., and Zenios, S. A. (2006). Managing goodwill in life insurance: An optimal investment policy. Journal of Risk and Insurance, 73(1), 43–71. Cummins, J. D., and Weiss, M. A. (2014). Systemic risk and the U.S. insurance sector. Journal of Risk and Insurance, 81(3), 489–528. Døskeland, T. M., and Nordahl, H. A. (2008). Optimal guarantees for long-term insurance contracts. Journal of Risk and Insurance, 75(4), 1009–1034. Eling, M., and Pankoke, D. (2016). Systemic risk in the insurance sector: A review and directions for future research. Risk Management and Insurance Review, 19(2), 249–284. European Commission. (n.d.). Solvency I Directive. Retrieved from https://ec.europa.eu European Insurance and Occupational Pensions Authority (EIOPA). (2021). Solvency II: The EU framework for insurance supervision. Retrieved from https://www.eiopa.europa.eu Filipović, D., Kremslehner, R., and Muermann, A. (2015). Optimal investment and premium policies under regulatory constraints. Insurance: Mathematics and Economics, 64, 217–227. Fischer, K., and Schlütter, S. (2015). Optimal investment strategies for insurance companies when capital requirements are imposed by a standard formula. The Geneva Risk and Insurance Review, 40(1), 15–40. Froot, K. A. (2007). Risk management, capital budgeting, and capital structure policy for insurers and reinsurers. Journal of Risk and Insurance, 74(2), 273–299. Granger, C. W. J., Huang, B.-N., and Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu. The Quarterly Review of Economics and Finance, 40(3), 337–354. Hardy, M. R., and Panjer, H. H. (2019). Risk-based capital modeling for insurers. Cambridge University Press. Hwang, Y.W., Chang, S.C., and Wu, Y.C. (2015). Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty. North American Actuarial Journal, 19(2), pp. 94-115. IAIS. (2019, 1). Level 1 Document: ICS Version 2.0 for the monitoring period IAIS. (2019, 1). Level 2 Document: ICS Version 2.0 for the monitoring period IAIS. (2023, 6). Insurance Capital Standard as a Prescribed Capital Requirement. IAIS. (2024, 1). Public 2024 ICS Data Collection Technical Specifications. Jensen, B. A., and Sørensen, C. (2001). Payoffs on life insurance contracts and the impact of minimum guarantees. European Financial Management, 7(3), 373–396. Jørgensen, P. L. (2007). Traffic light options. Scandinavian Actuarial Journal, 2007(2), 126–155. MacMinn, R. D., and Witt, R. C. (1987). Agency theory and the financial structure of life insurance companies. Journal of Risk and Insurance, 54(1), 190–207. National Association of Insurance Commissioners (NAIC). (n.d.). Risk-based capital overview. Retrieved from https://www.naic.org Tu, C.-Y., & Chang, S.-C. (2022). Optimal insurance solvency regulatory schemes under the early warning system. Taiwan Banking Quarterly, 73(4), 18–38. Yang, S. Y., Hwang, Y. W., and Chang, S. C. (2012). The bankruptcy cost of the life insurance industry under regulatory forbearance: An embedded option approach. North American Actuarial Journal, 16(4), 513–523. zh_TW
